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作者：Chen, Huaizhi; Cohen, Lauren; Lou, Dong
作者单位：University of London; London School Economics & Political Science; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We explore a new mechanism by which investors take correlated shortcuts and present evidence that managers-using sales management-take advantage of these shortcuts. Specifically, we exploit a regulatory provision wherein a firm's primary industry is determined by the highest sales segment. Exploiting this regulation, we provide evidence that investors classify operationally nearly identical firms as starkly different depending on their placement around this sales cutoff. Moreover, managers app...
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作者：Boguth, Oliver; Carlson, Murray; Fisher, Adlai; Simutin, Mikhail
作者单位：Arizona State University; Arizona State University-Tempe; University of British Columbia; University of Toronto
摘要：We characterize linkages between average returns calculated at different horizons. Theoretically, when stocks incorporate information slowly, average short-horizon returns are downward biased. Buy-and-hold strategies can amplify the effect. In contrast, existing theories analyze price noises that are independent of fundamentals, and buy-and-hold portfolio returns are unaffected. We document horizon effects as large as 10% annualized in daily and monthly style portfolios and international indic...
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作者：Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan
作者单位：Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of St Gallen
摘要：The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison acro...
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作者：Bird, Andrew; Karolyi, Stephen A.
作者单位：Carnegie Mellon University; Carnegie Mellon University
摘要：We examine the effect of institutional ownership on corporate disclosure policy using a regression discontinuity design. Using a novel dataset comprising every 8-K filing between 1996 and 2006, we find that positive shocks to institutional ownership around Russell index reconstitutions increase the quantity, form, and quality of disclosure. Compared with those at the bottom of the Russell 1000 index, firms at the top of the Russell 2000 index increase institutional ownership by 9.8%, and discl...
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作者：Prado, Melissa Porras; Saffi, Pedro A. C.; Sturgess, Jason
作者单位：Universidade Nova de Lisboa; University of Cambridge; DePaul University
摘要：We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive ownership exhibit lower lending supply, higher costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions and delay the correction of mispricing. Stocks with more concentrated ownership exhibit smaller announcement day reactions, larger po...
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作者：Wu, Youchang; Wermers, Russ; Zechner, Josef
作者单位：University of Oregon; University System of Maryland; University of Maryland College Park; Vienna University of Economics & Business
摘要：We examine the dynamics of assets under management (AUM) and management fees at the portfolio manager level in the closed-end fund industry. We find that managers capitalize on good past performance and favorable investor perceptions about future performance, as reflected in fund premiums, through AUM expansions and fee increases. However, the penalties for poor performance or unfavorable investor perceptions are either insignificant, or substantially mitigated by manager tenure. Long tenure i...
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作者：Gulen, Huseyin; Ion, Mihai
作者单位：Purdue University System; Purdue University; University of Arizona
摘要：Using a news-based index of policy uncertainty, we document a strong negative relationship between firm-level capital investment and the aggregate level of uncertainty associated with future policy and regulatory outcomes. More importantly, we find evidence that the relation between policy uncertainty and capital investment is not uniform in the cross-section, being significantly stronger for firms with a higher degree of investment irreversibility and for firms that are more dependent on gove...
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作者：Adelino, Manuel; Ferreira, Miguel A.
作者单位：Duke University; Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR)
摘要：We study the causal effect of bank credit rating downgrades on the supply of bank lending. The identification strategy exploits the asymmetric impact of sovereign downgrades on the ratings of banks at the sovereign bound relative to banks that are not at the bound as a result of rating agencies' sovereign ceiling policies. This asymmetric effect leads to greater reductions in ratings-sensitive funding and lending of banks at the bound relative to other banks. Results for foreign borrowers and ...
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作者：Boyson, Nicole M.; Fahlenbrach, Ruediger; Stulz, Rene M.
作者单位：Northeastern University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); University System of Ohio; Ohio State University; National Bureau of Economic Research; University of Pennsylvania
摘要：We investigate why only some banks use regulatory arbitrage. We predict that banks wanting to be riskier than allowed by capital regulations (constrained banks) use regulatory arbitrage, while others do not. We find support for this hypothesis using trust-preferred securities issuance, a form of regulatory arbitrage available to almost all U.S. banks from 1996 to Dodd-Frank. We also find support for predictions that constrained banks are riskier, perform worse during the crisis, and use multip...
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作者：Reinartz, Sebastian J.; Schmid, Thomas
作者单位：Technical University of Munich; University of Hong Kong
摘要：We examine how production flexibility affects financial leverage. A worldwide sample of energy utilities allows us to apply direct measures for production flexibility based on their power plants. We find that production flexibility increases financial leverage. For identification, we exploit privatizations and deregulations of electricity markets, geographical variations in natural resources, the technological evolution of gas-fired power plants, and differences in electricity prices and recap...
